| Summary: | 碩士 === 國立臺北大學 === 合作經濟學系 === 92 === The trading volumes of index futures and index options are observed to have increased , which implies that the relationships among them are getting closed now . The purpose of this study is to detect the relationships by investigating the effect of causality , volatility spillovers , asymmetric and risk premium .This research has applied multivariate VAR-TGARCH-M model to examine the interactive relationships of return、risk premium effects and volatility asymmetric effects .
The finding of this study would be followed as below：
Firstly , markets interactive relationships , as the study result , people should take the trend of passed situation into consideration while expect the interactive of the future with the change of the past .
Secondly , the risk premium effect of Taiwan stock index futures is stronger than those of the spots and options markets . It means that people should be more carefully to invest on futures markets.
Thirdly , the asymmetric effects of volatility are found in this study . It means that the volatility of markets will be easily increased by the bad news .
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